국제유가가 우리나라 거시경제변수에 미치는 영향에 대한 연구

Abstract

>Before about 2001, IMF system had influenced on the economic variables such as stock price, interest rate, exchange rate. Then 911 terrorist attack and Iraq war has caused these variables to become more unstable. In addition, in 2005, Oil price has doubled than that in the beginning of 2001. Oil price is completely depending on importing, so increase of the oil price must be such a big problem in our economy.Therefore this paper investigated how the impact of oil price on Korea Macro－ economic after IMF(From 2001 to 2005), especially, how oil price, exchange rate, stock price and interest rate have influenced on one another. The results of empirical study of this paper are as follows；First, It was proved that each variable has gotten more unstable. Further more exchange rate and interest rate has decreased but oil price and stock price has increased during the whole time.Second, In the unit root test, each time series was unstable one that has unit root. This result made me use differenced data for this empirical study.Third, In the Granger Casuality test, this paper shows that oil price influences on the KOSPI Index in the whole time and after Iraq war.Through the variance decomposition test, it was proved that KOSPI Index is the most affected variable of the oil price and oil price has affected all of the Korea economy. Increasing oil price and decreasing the exchange rate could be such a problem for not only export and but also import.Therefore some measures involved in the government and the companies to solve the problem and survive in the competitive environment are needed.